Your company will need to invest $5 million next June for a term of 3 months

If the actual 3 month B/A trades at 2%, the BAX June 2021 trades at 3.75% and the BAX

September 2021 trades at 4.16%:

A) Please write the future contract

B) If at maturity CDOR is 97.45, please indicate the outcome of your future hedge:

i) indicate if you have a profit or a loss

ii) calculate how much is that outcome.

C) If you had decided to hedge with an Option at 25 basis points OTM (out of the money):

i ) what would have been the strike price?

ii) would you have acquired a Call or a Put option?